Download Disciplina: EAE0319 - Finanças das Empresas

Disciplina: EAE0319 - Finanças das Empresas
Prof. Dr. Joe Akira Yoshino
Webpage: http://www.econ.fea.usp.br/joe
e-mail: [email protected]
Programa Resumido
1.
Teoria de Finanças: Modelo de Asset Prices de Lucas.
Derivação em Equilíbrio Geral Vs. Equilíbrio Parcial.
Quais simplificações são feitas na prática para o propósito de Valuation?
Quais outros modelos em finanças deriva da Árvore de Lucas (1978)?
Que riscos são e não diversificados tanto no CAPM como Black Scholes?
Ref. Huang & Litzenberger; Lucas, Cochrane.
2.
Alternativas de estimação de Custo de capital: CAPM, Fama-French e demais multifatoriais.
Laboratório de Implementação de modelos multifatoriais.
3.
Métodos de Valuation. Prospectos de Valuation: Tortuga (CVM) e Alibaba (SEC).
4.
IPO (Initial Public Offerings).
Fatos estilizados: Underpricing. Excesso de retorno no curto prazo e prejuízo no longo prazo.
Criação de Valor: EV/EBTIDA
5.
Causas e Consequências de Mergers and Acquisitions: M&A
6.
Black Scholes Asset Pricing.
Aplicações de Opções Reais em Estudo de Viabilidade Econômico-Financeiro de Projetos de
Investimentos: Casos
Programa
O curso tem como pilares algumas temas em corporate finance, tais como, Asset Pricing, custo de
capital, métodos de valuation, Teoria de Portfolio –CAPM, Back-Test de Modelos Multifatoriais no Brasil, e
Uso de Opções Reais (derivativos) para valuation de projetos de investimentos.
Avaliação
Cada capítulo terá uma prova. A nota final será a media simples destas provas, sendo descartada a
menor nota dentre todas.
Aviso: Haverá controle de freqüência na entrada e saída da sala de aula. Precisa ter
70% de freqüência. Caso isto não ocorra, haverá reprovação na disciplina. É
proibido assinar pelo colega. Serão verificadas as assinaturas.
Bibliografia
Lucas, R.E. Jr. (1978), Asset Prices in an Exchange Economy, Econometrica 46,
1429-1445.
Foundations for Financial Economics, HUANG, C. , LITZENBERG, R. North-Holland Publishing Co., New York-Amsterdam, 1988.
Asset Pricing. Revised Edition
John H. Cochrane, 2005
Mehra, R., and E.C. Prescott (1985), The Equity Premium: A Puzzle, Journal of
Monetary Economics 15, 145-161.
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Bianconi, Marcelo and Joe Akira Yoshino. Energy Sector Companies of the BRICS:
Systematic and Specific Financial Risks and VaR (Value at Risk). Emerging Markets
and the Global Economy. Elsevier Science, 2013.
http://store.elsevier.com/Emerging-Markets-and-the-Global-Economy/isbn-9780124115491/
Bianconi, Marcelo and Joe Akira Yoshino. Worldwide Commodities Sector Marketto-Book and Return on Equity Valuation. October 23, 2012.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2166006
Bianconi, Marcelo and Joe Akira Yoshino. Firm Value, the Sarbanes-Oxley Act and
Cross-Listing in the US, Germany and Hong Kong Destinations. North American
Journal of Economics and Finance, 2013.
http://dx.doi.org/10.1016/j.najef.2012.07.002
http://www.sciencedirect.com/science/article/pii/S106294081200071X
Bianconi, Marcelo , Joe Akira Yoshino, Mariana Orsini. BRIC and the U.S.
Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets,
Emerging Markets Review, 2013
http://dx.doi.org/10.1016/j.ememar.2012.11.002
http://www.sciencedirect.com/science/article/pii/S1566014112000696
Bianconi, Marcelo and Joe Akira Yoshino. Firm Market Performance and Volatility
in a National Real Estate Sector. International Review of Economics and Finance,
22, 230-253, 2012
http://dx.doi.org/10.1016/j.iref.2011.11.002
http://www.sciencedirect.com/science/article/pii/S1059056011001298
Yoshino, Joe Akira and Edson Bastos e Santos. Revisiting the Interest Rate Puzzle.
Applied Economic Letters, Volume 16, Issue 13, 2009. Routledge, Taylor &
Francis Group.
DOI: 10.1080/17446540802403643
http://www.tandfonline.com/doi/abs/10.1080/17446540802403643#.UdSy_T771Hg
Yoshino, Joe Akira and Edson Bastos e Santos. Is CAPM Dead or Alive in the
Brazilian Equity Market? Review of Applied Economics, 2009. Serials
Publications.
Yoshino, Joe Akira. Volatility in Brazilian Stock Market. Journal of Applied
Economics, volume VI, nº 2, 2003. Elsevier Science.
Bianconi, Marcelo and Joe Akira Yoshino. Firm Value, Investment and Monetary
Policy. International Economics and Finance Society, American Economic
Association Meeting. American Economic Review Proceedings. Atlanta. January,
2010.
http://www.aeaweb.org/aea/conference/program/preliminary.php
http://econweb.tamu.edu/aglass/IEFS/IEFS%20Sessions%20at%202010%20ASSA%
20Meetings.pdf
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1583041
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Empirical Estimation of the Cost of Equity: An Application to Selected
Brazilian Utilities Companies (22)2012. Joe Akira Yoshino; Marcelo Bianconi
Review of Economics and Finance, v. 5, p. 1, 2015.
Bianconi, Marcelo and Joe Akira Yoshino. Mergers & Acquisitions and the Valuation of
Firms. May 2014
Risk Factors and Value at Risk in Publicly Traded Companies of the
Nonrenewable Energy Sector (52)2013
Joe Akira Yoshino; Marcelo Bianconi
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2200526
Energy Economics, v. 45, p. 19-32, 2014.
EMPIRICAL ESTIMATION OF THE COST OF EQUITY: AN APPLICATION TO SELECTED
BRAZILIAN UTILITIES COMPANIES*
PRESENTATION AT TUFTS UNIVERSITY, Brazilian Federal Government and ARTESP. By
- Joe A. Yoshino FEA-USP
- Marcelo Bianconi Tufts University
March 2013
“Financial Markets and the Real Economy” in Rajnish Mehra, Ed. Handbook of the Equity
Premium Elsevier 2007, 237-325.
The Variability of IPO Initial Returns, MICHELLE LOWRY, MICAH S. OFFICER, and G.
WILLIAM SCHWERT. THE JOURNAL OF FINANCE • VOL. LXV, NO. 2 • APRIL 2010
Aswath Damodaran. Damodaran on Valuation: Security Analysis for Investment and
Corporate Finance.
Guide to Alibaba IPO: Financial and Valuation Model
Implications of Data Screens on Merger and Acquisition Analysis: A Large Sample Study
of Mergers and Acquisitions from 1992 to 2009 Jeffry Netter University of Georgia Mike
Stegemoller Baylor University M. Babajide Wintoki
Fama, E.F. e K.R. French (1993): Common Risk Factors in the Returns on Stocks and
Bonds, Journal of Financial Economics, Vol. 33, 3-56.
Fama, E. F.; French, K. R. (1992). "The Cross-Section of Expected Stock Returns". The
Journal of Finance. 47 (2): 427.doi:10.1111/j.15406261.1992.tb04398.x. JSTOR 2329112.
SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form F1
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 Alibaba Group
Holding Limited.
Class Note on Valuation. B40.3331 Fall 2016 Aswath Damodaran. NYU
Options, Futures and Other Derivatives
John Hull. Pearson/Prentice Hall, 2009 - 822 páginas
LECTURES ON REAL OPTIONS: Robert S. Pindyck
Benning, S. and Efrat Tolkowsky. Real Options. The Engineering Economist, 2002, vol.
47, number 2
Aswath Damodaran. Applications of option pricing theory to equity valuation
Mathews, S.; Datar, V. (2007). "A Practical Method for Valuing Real Options: The Boeing
Approach". Journal of Applied Corporate Finance 19 (2): 95–104.
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de Neufville, R., Scholtes, S., and Wang, T. (2005) “Valuing Real Options by
Spreadsheet: Parking Garage Case Example,” ASCE Journal of Infrastructure Systems,
in press.
O site do curso no Moodle/ Stoa tem todo material didático do curso.
Pré-requisitos
EAE0501 - Matemática Financeira
Recomendados: Econometria de Séries Temporais e Econometria de Painel.
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